Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0036 |
| Annualized Std Dev | 0.1877 |
| Annualized Sharpe (Rf=0%) | -0.0193 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3098.0000 |
| NAs | 1.0000 |
| Minimum | -0.0822 |
| Quartile 1 | -0.0066 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0069 |
| Maximum | 0.0640 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.0600 |
| Kurtosis | 2.6435 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0079 |
| Loss Deviation | 0.0079 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0083 |
| Downside Deviation (0%) | 0.0083 |
| Maximum Drawdown | 0.3858 |
| Historical VaR (95%) | -0.0190 |
| Historical ES (95%) | -0.0264 |
| Modified VaR (95%) | -0.0190 |
| Modified ES (95%) | -0.0284 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-06-08 | 2011-05-03 | 2015-03-06 | -0.3858 | 1195 | 229 | 966 |
| 2008-12-02 | 2009-11-25 | 2010-06-04 | -0.3573 | 379 | 249 | 130 |
| 2015-03-16 | 2018-02-01 | 2020-02-12 | -0.3149 | 1238 | 728 | 510 |
| 2020-03-23 | 2021-01-06 | NA | -0.2567 | 252 | 201 | NA |
| 2020-02-21 | 2020-03-09 | 2020-03-19 | -0.1178 | 20 | 12 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 | 3.1 | 4 |
| 2009 | 3.4 | 0.6 | 0.3 | -0.5 | -0.1 | -1.7 | -2.8 | 1.8 | 1.3 | 1.6 | -0.9 | 0.1 | 2.8 |
| 2010 | -1 | 0.8 | -1.3 | -1.1 | 0.7 | -4.9 | 0.8 | -2.1 | -2.2 | 0.5 | -2.4 | -1.1 | -12.6 |
| 2011 | -2.1 | 0.4 | -0.8 | 2.7 | 0.8 | -0.3 | 1.5 | 1.3 | 2.9 | 2.1 | -0.4 | 0.4 | 8.6 |
| 2012 | -1.2 | 0.2 | -0.7 | 0.1 | -1 | -3.3 | 1.3 | -1.2 | -0.5 | 0.3 | -0.4 | 0.4 | -6 |
| 2013 | -1.1 | 0.5 | -0.4 | -0.2 | 0.7 | -0.8 | 1.5 | 0.4 | -0.2 | 1.3 | -0.1 | 0.8 | 2.4 |
| 2014 | 0.9 | -1.3 | -0.4 | -0.1 | -0.5 | 0.3 | -0.4 | 0.8 | 0.3 | 1.3 | -0.6 | 1 | 1.3 |
| 2015 | 0.4 | 0.2 | -0.2 | 0.4 | 1.1 | 1.7 | -0.9 | -1.4 | -0.2 | -0.3 | -1.3 | 1.1 | 0.6 |
| 2016 | -1.2 | 0.2 | -0.2 | -1.7 | -1.2 | -0.7 | 0.2 | -0.7 | -0.3 | -1.4 | -1.2 | -0.7 | -8.7 |
| 2017 | 0.4 | 0.9 | 0.2 | -0.2 | 0.3 | 0.5 | 0.6 | 0.8 | -0.7 | 0.4 | 0.3 | -1 | 2.6 |
| 2018 | -1.6 | -1.1 | -0.1 | 1.5 | 0.7 | -1.9 | 0.5 | 1.1 | 0.5 | -1.4 | 1.3 | -0.2 | -0.8 |
| 2019 | -0.2 | 0.2 | 0.1 | 0.3 | -0.6 | 1.5 | -0.3 | 1.1 | -0.7 | -0.4 | -0.2 | 0.4 | 1.1 |
| 2020 | -1 | -1.1 | 1.6 | -0.5 | -0.8 | -0.3 | 1.2 | 0.7 | -0.4 | 0.2 | -2.6 | 1.2 | -1.8 |
| 2021 | 1.4 | 0.4 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-25 24.8 SPY 85.7 0.0074 -0.0163 0.0204 -0.334 -0.399 -0.326 -0.189 GLD 80.9 -0.0005 0.115
2 2008-11-26 25.0 SPY 89.0 0.0386 0.0917 -0.0511 -0.317 -0.395 -0.300 -0.161 GLD 80.4 -0.0061 0.112
3 2008-11-28 25.8 SPY 90.1 0.0126 0.194 -0.0321 -0.300 -0.388 -0.286 -0.153 GLD 80.3 -0.0009 0.0934
4 2008-12-01 26.0 SPY 82.1 -0.0886 0.0326 -0.147 -0.358 -0.448 -0.349 -0.229 GLD 75.6 -0.058 -0.0406
5 2008-12-02 25.6 SPY 85.3 0.0385 0.0028 -0.119 -0.333 -0.423 -0.320 -0.208 GLD 77.0 0.0172 -0.0489
6 2008-12-03 25.9 SPY 87.3 0.024 0.0194 -0.101 -0.296 -0.403 -0.311 -0.186 GLD 76.2 -0.01 -0.058
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
